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we just installed our new co-locating server (Apache-AdvancedExtranetServer/1.3.12 (Linux-Mandrake/30mdk) mod_ssl/2.6.6 OpenSSL/0.9.5a PHP/4.0.2) and for some reason mail functions like

PHP Code:

mail()

and perl/sendmail options does not work. Although smtp works fine, this other functions don't. I don't get any error or something that tells me that there where an error, just I don't recieved the emails. I tried this on others (shared/pre-configured) servers and it worked fine.
Anyone have any idea what could it be that we have setup wrong?